Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0121
Annualized Std Dev 0.1569
Annualized Sharpe (Rf=0%) -0.0774

Row

Daily Return Statistics

Close
Observations 3792.0000
NAs 1.0000
Minimum -0.1369
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1162
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness -1.2058
Kurtosis 29.9138

Downside Risk

Close
Semi Deviation 0.0075
Gain Deviation 0.0070
Loss Deviation 0.0089
Downside Deviation (MAR=210%) 0.0123
Downside Deviation (Rf=0%) 0.0075
Downside Deviation (0%) 0.0075
Maximum Drawdown 0.6121
Historical VaR (95%) -0.0129
Historical ES (95%) -0.0242
Modified VaR (95%) -0.0134
Modified ES (95%) -0.0134
From Trough To Depth Length To Trough Recovery
2006-12-07 2008-12-16 NA -0.6121 3595 510 NA
2006-04-10 2006-07-03 2006-12-05 -0.1411 167 59 108
2006-03-01 2006-04-04 2006-04-06 -0.0007 27 25 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA -0.1 0.1 0.3 0 -0.2 0.5 0.4 -0.3 0.7 -0.1 -0.1 1.2
2007 -0.6 -0.1 1 -0.1 -0.9 0.3 -0.5 1.3 0.4 -0.1 1.2 1.3 3.3
2008 0.5 -3.1 0.8 0.7 -0.9 -0.2 -0.5 0.3 3.7 3.7 -1.8 0.7 3.8
2009 -0.9 -1.7 1 0.5 -1.6 -0.1 0.3 0.6 -0.2 -0.2 0.1 0.1 -2
2010 1.1 0.4 0.7 -1.3 0.2 0.9 1.1 -0.2 0.5 -0.3 -0.6 2.3 4.9
2011 0.6 1.1 0.4 0.5 -0.4 0.8 1.3 0.8 0.9 0.5 0.1 0.6 7.5
2012 0.8 0.2 0.7 0.4 0.4 0.3 -0.2 0.1 0.3 0.5 0.5 1 5.2
2013 -0.2 -0.1 0 0 -1.9 0.4 -1.5 -0.5 0.3 -1.2 0.6 -0.2 -4.2
2014 0.5 0.4 -0.1 0.3 -0.7 -0.4 0.1 0.4 0.1 -0.1 -0.4 0.3 0.3
2015 0.7 0.5 0.5 -0.4 0 -0.4 0.6 -0.1 0.3 -0.3 0.4 0.5 2.3
2016 0 0.8 0.8 0.7 0.5 0.2 0.2 0.2 0.2 -0.3 -0.9 -0.1 2
2017 -0.5 -0.2 -0.1 -0.1 0.3 0.4 0.7 0.1 -0.8 -0.3 0.7 0.3 0.5
2018 -0.1 -0.2 0.2 0.4 -0.2 0.2 0.5 0.5 0.9 0.5 0.6 0.4 3.9
2019 0.9 0.4 0.2 0.6 0.3 -0.3 0.7 0.2 1.3 -0.6 0.5 -0.6 3.5
2020 0.2 -4.8 -2.8 0.7 0.1 -0.7 0.4 0.8 0.6 0.3 0 -0.2 -5.3
2021 0.4 0.4 0.2 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-02-24  15   SPY    129.  0.0026   0.0019  0.0217    0.0246   0.0763    0.532  -0.0076 GLD    55.6  0.0183   0.0205
2 2006-02-27  15.0 SPY    129.  0.0004   0.005   0.0165    0.0191   0.0661    0.555   0.0083 GLD    55.2 -0.0075   0.0047
3 2006-02-28  15.0 SPY    128. -0.0095  -0.002  -0.00240   0.0087   0.063     0.520   0.0208 GLD    56.1  0.0154   0.0172
4 2006-03-01  15   SPY    129.  0.0089   0.0008  0.0072    0.0249   0.0671    0.524   0.0283 GLD    56.1  0.0005   0.0137
5 2006-03-02  15   SPY    129. -0.0001   0.0022  0.0146    0.0259   0.0676    0.538   0.0352 GLD    56.7  0.0114   0.0384
6 2006-03-03  15   SPY    129. -0.0046  -0.005   0.00290   0.0267   0.0622    0.556   0.0089 GLD    56.3 -0.0081   0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart